I've had chickens sleep in trees below 0 degrees Fahrenheit. If they are acclimated, they can handle a whole lot. Think of wild birds that live outside in that weather. They do well in that weather and find things to eat too.
Centrarchid, whether frost forms or not is going to depend on a few things, temperature, humidity, and wind. If it is calm and humid when the temperature drops enough, frost will form. There are different dynamics going on in a coop than outside. Warm air rises and holds more moisture than cold air. Humid air outside may mean that the air in the coop is also pretty humid, even with good ventilation. If the temperature drops enough frost can form. Each coop can be different. Maybe it is not as severe in many coops than in your open situation. A coop with poor ventilation may be worse.
The greatest risk from frostbite is not when the frost is on the chicken but when it changes form, form solid to liquid or liquid to gas due to evaporational cooling effects. It's like with many plants. A light frost is not a big deal for many plants if you wash it off before it changes from solid to liquid.
There is no real risk when the frost is just on the feathers. It is the combs and wattles at risk. I don't know how chickens and other wild birds handle that, other than most wild birds don't have much in the way of combs and wattles. They may have some way of handling that problem as long as it is not too severe. After all, cabbage, beets, kale, and many other plants can handle a light frost, while tomatoes or beans get zapped pretty easily.
But a couple of questions. Was the frost on the combs and wattles or just the feathers? Have you noticed any frostbite?